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Refugees often experience traumas that can have deleterious effects on their mental health. Identifying the specific factors that might shield them from mental health disorders is critical to improve integration outcomes in their host country. Using extended periods of self-reported sadness as a key indicator of depression, this paper draws from publicly available data collected by the Annual Survey of Refugees (ASR) to assess whether social factors such as country of birth, co-ethnic community, employment status, perceived feelings of discrimination, gender, and marital status are associated with feelings of sadness among refugees who have migrated to the United States between 2017 and 2021. Employing ordinal logistic regression, and focusing on Guatemalan, Colombian, and Salvadoran refugees, I find that Colombian refugees demonstrate amplified levels of sadness relative to non-Latin American refugees. Experiences of lack of co-ethnic support, compounded perceptions of discrimination, and absence of a spouse are also associated with greater sadness. Although employment status and gender are important criteria to examine in the mental health context, I found no attributable significance.